Chronic stress is involved in development of depression and causes immune alterations. Indoleamine-2,3-dioxygenase (IDO) plays a pivotal role in mediating the depression-like behaviors in response to immune activation. Physical exercise has been shown to reduce the stress impairment and ameliorate depressive symptoms. The objectives of present study were to confirm that chronic unpredictable mild stress (CUMS) induces depression-like behavior and inflammatory responses within the brain, and then investigate whether swimming exercise alleviates the depression-like behaviors induced by CUMS through proinflammatory cytokine-induced alteration of IDO in brain. It has been found that CUMS exposure induced depression-like behavior, increased serum corticosterone (CORT) level, decreased 5-HT level, increased IFN-γ and TNF-α levels and elevated IDO activity in prefrontal cortex. Moreover, the level of 5-HT was inversely correlated with IDO level. Regular swimming exercise ameliorated depressive symptoms induced by CUMS. The exercise reduced serum CORT level, increased 5-HT level as well as decreased levels of IFN-γ, TNF-α and IDO in prefrontal cortex in CUMS rats. These findings suggested that CUMS activate HPA axis and induce immune activation, which may stimulate IDO activity, leading to the reduction of 5-HT level in brain, thereby resulting in depression. Swimming exercise may inhibit activation of inflammation/IDO pathways induced by CUMS, thereby ameliorating depression.